I know that / is illegal in Linux, and the following are illegal in Windows
(I think) *
.
\"
/
\\
[
Well, if only for research purposes, then your best bet is to look at this Wikipedia entry on Filenames.
If you want to write a portable function to validate user input and create filenames based on that, the short answer is don't. Take a look at a portable module like Perl's File::Spec to have a glimpse to all the hops needed to accomplish such a "simple" task.